a. Refer to Figure 17.1 and locate the E-Mini contract on the Standard & Poors 500 Index. If the margin requirement is 27% of the futures price times the multiplier of $50, how much must you deposit with your broker to trade the June contract? (Input the amount as positive value. Round your answer to 2 decimal places.)
b. If the June futures price were to increase to 2,466, what percentage return would you earn on your net investment if you entered the long side of the contract at the price shown in the figure? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
c. If the June futures price falls by 2.0%, what is the percentage gain or loss on your net investment? (Input the amount as positive value. Do not round intermediate calculations.)
Open Futures Contracts Settle 127,90 127.55 13.61 June -1.73 Contract Open High hilo Low Chg Interest Coffee (ICE-US)-37,500 lbs., cents per lb. July 126.50 125.30 125.55 -.85 44,764 Sept 128.25 130.00 127.75 -90 97,731 Sugar-World (ICE-US)-112,000 lbs., cents per lb. July 13.74 13.81 13.36 13.62 -.17 212,475 Oct 13.97 13.99 13.85 -.17 349,542 Sugar-Domestic (ICE-US)-112,000 lbs., cents per lb. Sept 27.76 27.76 27.75 27.67 .03 1,964 Nov 27.39 27.39 27.39 27.44 -.04 1,279 Cotton (ICE-US)-50,000 lbs., cents per lb. July 74.47 74.83 73.40 73.50 -.98 45,003 Dec 71.82 72.00 70.86 70.95 -.87 155,910 Orange Juice (ICE-US)-15,000 lbs., cents perlb. July 141.05 141.50 139.00 140.25 -.80 6,044 Sept 138.45 139.55 137.40 138.05 -1.40 4,087 Interest Rate Futures Treasury Bonds (CBT)-$100,000; pts 32nds of 100% June 155-130 157-130 155-120 156-290 1-19.0 3,304 Sept 153-310 156-050 153-290 155-200 1-19.0 730,435 Treasury Notes (CBT)-$100,000; pts 32nds of 100% June 126-180 127-175 126-180 127-035 16.0 48,739 Sept 126-110 127-080 125-105 126-295 17.5 1,131,656 5 Yr. Treasury Notes (CBT) $100,000; pts 32nds of 100% June 118-225 119-057 118-217 118-292 7.5 49,887 Sept 118-065 118-247 118-060 118-150 8.0 1,123,645 2 Yr. Treasury Notes (CBT)-$200,000; pts 32nds of 100% June 108-085 108-130 108-085 108-095 1.2 11.027 Sept 108-030 108-092 108-030 108-052 1.7 1.174.311 30 Day Federal Funds (CBT)-$5,000,000; 100-daily avg. June 98.968 98.975 98.960 98.963 -.005 78,380 July 98.860 98.875 98.850 98.855 -.005 457,474 10 Yr. Del. Int. Rate Swaps (CBT)-$100,000; pts 32nds of 100% June 93.391 94.500 A 93.391 94.141 .578 12,681 Sept 102.531 103.313 A 102.203 102.984 .625 16,446 1 Month Libor (CME)- $3,000,000; pts of 100% June 98.7900 98.8000 98.7900 98.7900 -.0075 9,528 July 98.7900 98.7900 98.7900 98.7875 -.0050 3,147 Eurodollar (CME)- $1,000,000; pts of 100% June 98.7275 98.7500 98.7250 98.7275 -.0025 1,493.523 Sept 98.6400 98.7000 98.6400 98.6700 .0250 1,407,477 Dec 98.5600 98.6300 98.5550 98.5900 .0300 1.724,980 Dec'18 98.2300 98.3500 A 98.2250 98.2900 .0550 1,397,044 Currency Futures Japanese Yen (CME)- 12,500,000; $ per 100 June .9086 .9192 .9064 .9129 -0033 145,801 Sept .9124 .9228 .9102 .9166 -.0033 63,409 Canadian Dollar (CME)-CAD 100,000; $ per CAD June .7554 .7597 .7536 .7549 --0011 143.138 Sept .7566 .7609 .7548 .7561 -001: 56,254 British Pound (CME)-62,500; $ per June 1.2754 1.2821 1.2724 1.2748 -.0008 177,546 Sept 1.2787 1.2856 1.2761 1.2784 -.0008 89,873 Swiss Franc (CME)-CHF 125,000; $ per CHF June 1.0326 1.0376 1.0274 1.0292 -.0038 38,989 Sept 1.0387 1.0437 1.0336 1.0353 -.0038 16.045 Australian Dollar (CME)-AUD 100,000; $ per AUD June .7534 .7636 A .7532 .7591 .0052 105,593 July .7531 .7631 .7530 .7587 .0051 507 Aug .7530 .7628 .7585 .0052 316 Sept .7525 .7625 .7523 .7581 .0052 28,292 Dec .7520 .7620 .7518 .7572 .0050 224 Mexican Peso (CME)-MXN 500,000; $ per MXN June 0.5536 0.5582 0.5531 0.5560 .00027 106,536 Euro (CME)-125,000; $ per June 1.1212 1.1196 1.1219 .0003 326,182 Sept 1.1267 1.1354 1.1251 1.1274 .0004 143,569 Index Futures Metal & Petroleum Futures Contract Open Open High hilo Low Settle Chg Interest Copper-High (CMX)-25,000 lbs.; $ per lb. June 2.5800 2.5800 2.5625 2.5705 -0.0225 1,053 July 2.5990 2.6050 2.5605 2.5735 -0.0230 83,015 Gold (CMX)-100 troy oz.; $ per troy oz. June 1269.40 1278.00 1256.80 1272.80 7.00 1,551 Aug 1268.40 1284.20 1259.00 1275.90 7.30 345.745 Oct 1272.30 1287.20 1263.00 1279.50 7.30 10.913 Dec 1275.50 1290.00 1266.20 1282.90 7.30 80.269 Feb'18 1279.30 1291.00 1272.70 1286.30 7.30 10,331 Dec 1295.00 1303.20 1295.00 1303.10 7.00 5,920 Palladium (NYM)-50 troy oz.; $ per troy oz. June 862.80 869.50 862.80 863.30 -2.95 82 July 865.60 871.55 852.35 857.60 -3.75 45 Aug 858.50 863.50 858.50 856.15 -3.75 2 Sept 858.90 871.25 847.55 853.80 -3.75 34,111 Dec 843.90 857.10 837.00 843.50 -0.45 1.729 March'18 839.30 843.00 A 835.00 832.15 -0.45 122 June 839.00 839.00 A 839.00 828.15 -0.45 16 Platinum (NYM)-50 troy oz.; $ per troy oz. June 925,40 926.80 925.40 950.70 27.70 48 July 925.00 955.50 923.30 951.90 27.70 52,791 Silver (CMX)-5,000 troy oz.; $ per troy oz. 16.840 17,180 16.840 17.107 0.369 28 July 16.820 17,365 16.790 17.136 0.369 100.533 Crude Oil, Light Sweet (NYM)-1,000 bbls.; $ per bbl. July 45.94 46.49 44.55 44.73 209,102 Aug 46.13 46.68 44.74 44.93 -1.74 442,660 Sept 46.38 46.85 44.96 45.14 -1.75 274,042 Dec 46.90 47.37 45.59 45.82 -1.63 311,431 June 18 47.74 47.95 46.49 46.74 -1.36 121,798 Dec 48.00 48.24 46.90 47.21 - 1.10 150.760 NY Harbor ULSD (NYM)-42,000 gal.; $ per gal. July 1.4412 1.4550 1.4062 1.4102 -.0375 81,641 Aug 1.4500 1.4618 1.4139 1.4180 -.0368 84,147 Gasoline-NY RBOB (NYM)-42,000 gal.; $ per gal. July 1,4856 1.4959 1.4292 1.4327 -.0668 97,511 Aug 1.4811 1.4953 1.4281 1.4315 -.0625 85,745 Natural Gas (NYM)-10,000 MMBtu.; $ per MMBtu. July 2.962 2.989 2.916 2.933 -033 186,368 Aug 2.990 3.007 2.953 -.036 208,648 Sept 2.970 2.989 2.922 2.937 -.035 180,592 Oct 2.997 3.013 2.949 2.962 -038 185,021 Jan '18 3.301 3.303 3.249 3.263 -.033 109,540 April 2.881 2.887 2.854 2.856 -026 85,557 Agriculture Futures Corn (CBT)-5,000 bu.; cents per bu. July 381.00 385.00 376.75 377.00 -4.00 452,077 Sept 388.50 392.75 384.25 385.00 -3.50 409,284 Oats (CBT)-5,000 bu.; cents per bu. July 254.00 256.25 252.50 255.50 2.25 4,211 Dec 241.75 243.75 A 241.50 242.75 2.00 1,890 Soybeans (CBT)-5,000 bu.; cents per bu. July 932.00 939.00 931.00 931.75 -.75 248,150 Nov 938.25 945.25 937.50 939.00 284,651 Soybean Meal (CBT)-100 tons; $ per ton. July 301.20 304.20 301.20 301.80 .30 129,154 Dec 307.00 309.20 306.70 307.70 .80 135,043 Soybean Oil (CBT)-60,000 lbs., cents per lb. July 32.09 32.28 31.96 32.09 126,008 Dec 32.50 32.71 32.40 32.56 .03 141.285 Rough Rice (CBT)-2,000 cwt.; $ per cwt. July 1124.50 1126.00 1086.00 1103.00 -22.50 5,163 Sept 1153.00 1153.00 1108.00 1130.50 3,819 Wheat (CBT)-5,000 bu.; cents per bu. July 452.25 441.75 443.00 -2.00 154,696 Sept 459.00 466.50 456.00 457.25 -2.00 144.177 Wheat (KC)-5,000 bu., cents per bu. July 457.25 468.00 455.00 457.50 .50 108,082 Sept 474.00 484.75 472.25 475.00 .75 78,968 Wheat (MPLS)-5,000 bu.; cents per bu. July 627.00 645.75 A 623.25 627.50 -50 24.255 Sept 634.25 651.50 A 630.50 634.50 26.710 Cattle-Feeder (CME)-50,000 lbs., cents per lb. Aug 149.100 149.400 145.550 146.125 -3.825 32,577 Sept 148.800 149.000 145.200 145.700 -4.000 9,864 Cattle-Live (CME)-40,000 lbs.; cents per lb. June 126.875 127.000 124.500 124.500 -3.000 12,798 Aug 120.300 120.425 117.875 117.875 -3.000 190,817 Hogs-Lean (CME)-40,000 lbs.; cents per lb. June 82.775 82.700 83.000 .225 11,366 Aug 80.850 81.000 79.700 80.400 .175 86,145 Lumber (CME)-110,000 bd.ft., $ per 1,000 bd.ft. July 368.90 370.00 365.60 368.00 --90 2.342 Sept 354.50 359.80 354.80 357.60 -.90 1,200 Milk (CME)-200,000 lbs., cents per lb. June 16.34 16.36 16.30 16.31 5,097 July 16.70 16.70 16.50 16.61 -.06 4,344 Cocoa (ICE-US)-10 metric tons; $ per ton. July 2,017 2,043 2.001 2,040 18 15,136 Sept 2,048 2,077 2,033 2,075 19 120.024 2.936 .7527 -23.00 1.1299 445.00 49 47 40,827 102,619 -2.80 -2.70 72,284 33,603 -2.75 1,023,610 -2.75 2,433,721 -8.10 -8.00 16,422 81,233 1754.30 Mini DJ Industrial Average (CBT)-$5 x index June 21322 21388 21289 21371 Sept 21282 21346 A 21246 21327 S&P 500 Index (CME)-$250 x index June 2443.00 2443.00 2429.00 2437.20 Sept 2437.10 2442.10 2427.00 2435.30 Mini S&P 500 (CME)-$50 x index June 2440.25 2440.50 2427.75 2437.25 Sept 2438.25 2443.25 2425.25 2435.25 Mini S&P Midcap 400 (CME) $100 x index June 1768.60 1773.60 1754.40 1761.50 Sept 1770.30 1774.10 1762.10 Mini Nasdaq 100 (CME) $20 x index June 5752.3 5780.0 5680.0 5725.3 Sept 5762.3 5789.0 5687.0 5732.8 Mini Russell 2000 (ICE-US) $100 x index June 1428.30 1430.00 1410.00 1416.30 Sept 1427.20 1429.70 1409.80 1416.30 Mini Russell 1000 (ICE-US)-$100 x index June 1353.70 1353.70 1345.80 1351.30 Sept 1352.70 1352.70 1345.10 1350.60 U.S. Dollar Index (ICE-US)-$1,000 x index June 97.01 97.11 96.31 96.31 Sept 96.73 96.81 96.02 96.59 83.050 A -26.0 -26.5 159,624 287,790 - 11.10 -10.90 164,216 493,530 -1.60 -1.00 2,724 7,716 -02 -.09 63,508 20,603
